This paper demonstrates lasing of the whispering gallery modes in polymer coated optofluidic capillaries and their application to refractive index sensing. The laser gain medium used here is fluorescent Nile Red dye, which is embedded inside the high refractive index polymer coating. We investigate the refractometric sensing properties of these devices for different coating thicknesses, revealing that the high Q factors required to achieve low lasing thresholds can only be realized for relatively thick polymer coatings (in this case ≥ 800 nm). Lasing capillaries therefore tend to have a lower refractive index sensitivity, compared to non-lasing capillaries which can have a thinner polymer coating, due to the stronger WGM confinement within the polymer layer. However we find that the large improvement in signal-to-noise ratio realized for lasing capillaries more than compensates for the decreased sensitivity and results in an order-of-magnitude improvement in the detection limit for refractive index sensing.